Exam Feedback November 2018 Part 1 Exam Feedback

[flex]

65 -Net CCY exposure calculation and impact on gain/loss if foreign CCY is depreciating

is u implied qstn containing CHF net bought& NFA & CHF exchange rate change as inputs?

13 -A question about credit spread risk (I put "credit spread can be easily found via the default transition matrix. Not sure..)

genneraly, cs(0;t) can derive from LGD&PD, can uremember other alternatives?

 

[AHoekstra]

genneraly, cs(0;t) can derive from LGD&PD, can uremember other alternatives?

I recall marking something along the lines of 'The credit spread can change significantly without there being an increased default risk for the company in question'. Think that was the correct answer, think it is somewhere in the Damodaran reading.

 

[cmfrtblynmb209]

I recall marking something along the lines of 'The credit spread can change significantly without there being an increased default risk for the company in question'. Think that was the correct answer, think it is somewhere in the Damodaran reading.

I recall the most logical answer being something along the lines of the credit spread could change without a change in the underlying (Treasury, LIBOR, etc) rate.

 

[Samrin]

Anyone recalled the Combined Ratio question? was the answer something like loss of 10% before tax?
Thanks

True - coz the rest of the option were straight forward no - so took a guess marked c

 

[AHoekstra]

I recall the most logical answer being something along the lines of the credit spread could change without a change in the underlying (Treasury, LIBOR, etc) rate.

You are right it refered to no change in the underlying indeed, thanks! What I mention was probably how I somehow justified that answer haha.

 

[gprisby]

I recall the most logical answer being something along the lines of the credit spread could change without a change in the underlying (Treasury, LIBOR, etc) rate.

I remember putting that I believe.

 

[gprisby]

Just curious. How many hours would you estimate you put in? I would say 250-300. Probably closer to 300. I watched every video, read all notes, did all BT problems and 75% of GARP practice exams... until I started catching errors on them. My work paid, so I tried to put in my best effort. I found this to be much more challenging than graduate level classes I have taken so far.

 

[cmfrtblynmb209]

Just curious. How many hours would you estimate you put in? I would say 250-300. Probably closer to 300. I watched every video, read all notes, did all BT problems and 75% of GARP practice exams... until I started catching errors on them. My work paid, so I tried to put in my best effort. I found this to be much more challenging than graduate level classes I have taken so far.

I'd estimate maybe 100 hours. Could be more, but nowhere near your 250-300. To be fair, I have a career background (10+ years) in financial risk management, including ERM, VaR concepts, MBS and structured products, etc.

 

[kylian.mbappe]

is u implied qstn containing CHF net bought& NFA & CHF exchange rate change as inputs?



genneraly, cs(0;t) can derive from LGD&PD, can uremember other alternatives?

For the CCY I dont remember the currency but you had to do à basic asset- liabilities + bought - sold or formula...

For credit risk as said other members it was credit risk can change sihnificantly without change in the underlying.. si I was definitely wrong

 

[cmfrtblynmb209]

For the CCY I dont remember the currency but you had to do à basic asset- liabilities + bought - sold or formula...

For credit risk as said other members it was credit risk can change sihnificantly without change in the underlying.. si I was definitely wrong

Correct re: the FX question. As I recall they were net short the currency.

 

[gprisby]

I'd estimate maybe 100 hours. Could be more, but nowhere near your 250-300. To be fair, I have a career background (10+ years) in financial risk management, including ERM, VaR concepts, MBS and structured products, etc.

Wow, nice. I’ve done audit and control type work mostly, but nothing really quantitative until a few years ago when I moved to Treasury. A few grad stat classes too.

 

[gprisby]

For the CCY I dont remember the currency but you had to do à basic asset- liabilities + bought - sold or formula...

For credit risk as said other members it was credit risk can change sihnificantly without change in the underlying.. si I was definitely wrong

I put net short. Can’t remember what exposure direction I put though. Hopefully increase!

 

[gprisby]

.

 

[vanhvidieu]

I feel not good when saw all recalled questions, I do not remember those.

 

[JG13]

There was a question about Forward rate between CAD and INR. Which one was domestic currency?

 

[Study]

There was a question about Forward rate between CAD and INR. Which one was domestic currency?

I put rate INR - rate CAD.

 

[Amarnadh D]

Hi All, I was comfortable to mark around 80 to 85 questions. Level of difficulty and in detainees of BT materials, videos and forum discussions were greatly helped me a lot. I personally satisfied with the way i prepared for the exam and execution. Though many of complex calculations was not part of the exam, it tested all theory related questions including in stats which immensely helped to cover all 100 questions with in the time period.

One questions from 2012 GARP Practice exam (regarding hedging) was part of the exam this time without any amendment. Secondly, it was a surprise to see a questions on Weighted average coupon (WAC) & Weighted average maturity (WAM) - would request David and Nicole to cover a question on WAC & WAM in their practice question papers.

Again, BT materials, David's explanation and visual representation of all concepts helped a lot. Thanks to BT team.
Looking forward your support for part 2 exam.

 

[Amarnadh D]

Questions from MSC is about replacement and reuse of sample data - option is bootstrapping - not antithetic and control variate.

 

[Amarnadh D]

Questions from Modeling trends regarding penalty factor was tricky. As per theory, SIC has highest penalty factor, the way questions was asked in the exam with the help of graph (provided penalty factor on Y axis) to find out AIC - which also has highest penalty factor, but increases at a slower rate compare to SIC.

 

[kylian.mbappe]

Did you all put "use of leverage" as the main difference between HF and MF ?